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【论文】Yunchuan Sun, Mengyuan Wu, Xiaoping Zeng, Zihang Peng. The Impact of COVID-19 on the Chinese Stock Market: Sentimental or Substantial?
发布时间:2021-06-08      浏览量:

  Yunchuan Sun, Mengyuan Wu, Xiaoping Zeng, Zihang Peng. The Impact of COVID-19 on the Chinese Stock Market: Sentimental or Substantial?, Finance Research Letters, Volume 38,January 2021, 101838, https://doi.org/10.1016/j.frl.2020.101838(SSCI)

  Abstract

  We investigate the impact of COVID-19 on Chinese stock market by an event study and examine the effect of individual investor sentiment on returns. The pandemic has an overall negative effect on stock market during the post-event window, which can't be explained by real losses. Results show a stronger positive correlation between individual investor sentiment and stock returns than usual. The impact on individual investor sentiment on stock returns is more significant for enterprises with high PB, PE and CMV, low net asset, and low institutional shareholding. Only 7 industries related to pharmacy, digitalization, and agriculture are boosted.

  Highlights

  COVID-19 outbreak causes widespread negative abnormal returns in Chinese stock market during the post-event window of 36 trading days.

  The overall individual sentiment effect during the merging window of event and post-event is positive and stronger than usual.

  Stocks with high PB, PE and CMV, low institutional shareholding ratio and low net assets are found to be more sensitive to the turbulence.

  Only 7 industries related to Pharmacy, Digitalization, and Agriculture are boosted during the merging window of event and post-event.


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